The invention provides an SMW pile shielding portal waterproof structure and a construction method thereof. The waterproof structure includes the construction steps that after construction of the portion, corresponding to a shielding portal, of a station main structure is finished or construction of the whole station main structure is finished, a double-layer reinforced rib net piece is welded to the inside of a steel ring of a portal, molding is carried out, concrete is poured through a pit pump to form a temporary blocking wall, when the station main structure and the temporary block wall reach designed strength, the portion, corresponding to the shielding tunnel portal, of an SMW pile is drilled along an H-type steel wall face, a polyvinyl chloride plastic sleeve valve pipe is inserted into the hole, and when H-type steel on the portion is pulled out, cement grout is injected into the H-type steel insertion hole synchronously while a sleeve valve pipe grouting process is used, so that a cement filling layer is formed. The structure is simple and convenient to construct, can well prevent a water leaking phenomenon of the shielding tunnel portal and reduces the safety risks caused when a shielding machine goes in and out of a tunnel, the renting cycle of the H-type steel of the SMW pile is shortened, and construction cost is saved.